Yes a lot of people say shipped peafowl eggs are very hard to hatch. I had some eggs shipped to me for free from a kind member on here, one time, but none even developed. It would be better if you could find eggs close by or find peachicks. Also one other thing to remember is that the peacock does not get his beautiful train until he is three years old. I could not wait that long at all so for my first peafowl I got an adult pair. Sure they might not be as tame as they would be if you raised them but you can always raise up their chicks to be tame. That is just my sugestion. When my only male peacock ran away (this is when I used to free-range) I replaced him with a yearling male and I just couldn't stand not having a colorful adult peacock so I ended up getting a pied boy.
If you do go for the eggs or chicks, you might want to try getting an assortment. Those always looked pretty fun to me because you can get a bunch of varieties.